国际大宗商品市场金融化与中国宏观经济波动

The Financialization of International Commodity Market and Chinese Macroeconomic Fluctuations

本文基于结构向量自回归(SVAR)模型,实证分析了1998年至2015年间国际大宗商品市场金融化对我国宏观经济波动的影响。研究发现,国际大宗商品价格冲击对我国宏观经济波动具有不容忽视的影响力,其驱动作用虽弱于投资专有技术冲击和中性技术冲击,但却明显强于货币政策冲击和财政政策冲击。在国际金融危机前,国际大宗商品市场金融化对我国宏观经济波动主要产生平抑效应;危机后,金融化对我国宏观经济波动的影响主要表现为放大效应,进一步研究表明美国量化宽松政策是导致金融化产生放大效应的主要因素。

This paper uses SVAR model to quantify impact of the finaneialization of international commodity market on Chinese macroeconomic fluctuations during the period of 1998 - 2015. We find that the investment technology shock and the neutral technology shock are the main driving forces of our macroeconomic fluctuations; the effect coming from the international commodity price shock is weaker than the technology shocks, but is stronger than the monetary and fiscal policy shocks. Moreover, before the U.S. financial crisis in 2008, the financialization of commodity market mainly has dampening effects on Chinese macroeconomic fluctuations; after the financial crisis, the financialization of commodity market mainly has magnifying effects on macroeconomic flUctuations in China. Interestingly, the U.S. QE policy is the main reason for these magnifying effects.